當保險契約被發行時，保險公司必須被要求盡可能的具備承擔未來不可知的風險的能力。本文將死亡風險、利率風險、脫退風險以及流動性風險引入，並針對生死合險契約進行盈餘分析。在此以 Vasicek (1977) 所提出之隨機利率模型、根據被保險人理性行為作為基礎之脫退模型以及引入簡化後的 Longstaff、Mithal與Nies (2005)流動性風險債券價格來描述各種風險。根據上述模型假設下計算保費及準備金，遂以蒙地卡羅模擬法量化源於各種風險之盈餘。最後，本文計算保險公司之盈餘對各風險參數之敏感度分析，並計算各期破產與發生流動性問題之可能性。 / Once insurance contracts are issued, the insurers should be capable to deal with the unknown conditions in the future as possible. In this paper, we analyze the impact of mortality, interest rate, surrender and liquidity risks on the surplus of endowment contract. We model the interest rate risk by Vasicek model, the surrender rate based on the rational behavior of policyholders and introduce the discounted price of zero coupon bonds as the liquidity risk. Under such assumptions, we compute the premium and reserve, demonstrate the simulated insurance surplus, and finally exhibit the statistics of the surplus from different sources. The simulated results show the sensitivity of the surplus to the parameters of the risks. At the same time, we also show the probabilities of insolvency and illiquidity of the insurer before the maturity date of the contract due to the fluctuating surrender rate and liquidity risk resulting from the stochastic interest rate.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0102352001 |
| Creators | 林偉翔, Lin, Wei Hsiang |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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